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The Thermodynamics of Portfolios

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Author Info
Edward W. Piotrowski ()
Jan Sladkowski ()

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Abstract

We propose a new method of valuation of portfolios and their respective investing strategies. To this end we define a canonical ensemble of portfolios that allows to use the formalism of thermodynamics. (final version published in Acta Phys.Pol.B,32(2001)597-604)

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Paper provided by University of Bialtystok, Department of Theoretical Physics in its series Departmental Working Papers with number 2.

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Handle: RePEc:sla:eakjkl:2

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  1. Edward W. Piotrowski & Jan Sladkowski, . "Arbitrage Risk Induced by Transaction Costs," Departmental Working Papers 17, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
  2. Edward W. Piotrowski & Jan Sladkowski, . "The Merchandising Mathematician Model. Stochastic Demand and Supply," Departmental Working Papers 1, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
  3. Edward W. Piotrowski & Jan Sladkowski, . "Quantum diffusion of prices and profits," Departmental Working Papers 12, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
  4. Edward W. Piotrowski & Jan Sladkowski, . "An Invitation to Quantum Game Theory," Departmental Working Papers 15, University of Bialtystok, Department of Theoretical Physics. [Downloadable!]
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This page was last updated on 2008-7-18.

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